Mixing Monte-Carlo and Partial Differential Equations for Pricing Options

DOI10.1007/978-3-642-41401-5_13zbMath1315.91071OpenAlexW2800943300MaRDI QIDQ5261574

Olivier Pironneau, Grégoire Loeper, Tobias Lipp

Publication date: 6 July 2015

Published in: Partial Differential Equations: Theory, Control and Approximation (Search for Journal in Brave)

Full work available at URL: https://hal.sorbonne-universite.fr/hal-01558826/file/lipploeperop.pdf

zbMATH Keywords

Monte Carlooption pricingpartial differential equationsfinancial mathematicsHeston model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

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